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Credit portfolio selection with decaying contagion intensities
Bo, Lijun
;
Capponi, Agostino
;
Chen, Peng‐Chu
- In:
Mathematical Finance
29
(
2018
)
1
,
pp. 137-173
Persistent link: https://www.econbiz.de/10012095149
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Firm capital dynamics in centrally cleared markets
Capponi, Agostino
;
Cheng, W. Allen
;
Rajan, Sriram
- In:
Mathematical Finance
30
(
2020
)
2
,
pp. 664-701
Persistent link: https://www.econbiz.de/10012192413
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Robust XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical Finance
30
(
2020
)
3
,
pp. 738-781
Persistent link: https://www.econbiz.de/10012283197
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